Overview

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The seminar takes place every month and covers a wide range of topics in quantitative finance.  In this session, chaired by Bruno Dupire, Nobel Prize winner Robert F. Engle will present his current research, followed by several “lightning talks” of 5 minutes each in quick succession. This format gives the audience the opportunity to be exposed to a wider variety of topics.

NOTE: This event will take place at our 120 Park Avenue location.

Agenda

5:00pm

Check-in

5:30pm

Keynote:  Robert F. Engle, New York University Stern School of Business

Financial Volatility and Geopolitical Risk

Geopolitical events may impact volatilities of all asset classes, sectors and countries. It is shown that innovations to volatilities are correlated across assets and asset classes and therefore can be used to forecast or hedge geopolitical risks. The paper develops a statistical model of a Geopolitical Volatility Factor or GPVF, based on the standardized residuals from a factor model with GARCH style residuals. A test for GPVF is developed with estimation algorithms. These are applied to 9 ETFs of sectors of the US and to 45 MSCI country ETFs. The model has asset pricing implications for hedging geopolitical risks.

 

6:15pm

Lightning talks

A lightning talk is a very short presentation lasting only 5 minutes.  Several ones will be delivered in a single session by different speakers in quick succession.

  • Espen Haug (Norwegian University of Life Sciences) – The geometry of high speed trading
  • Arturo Cifuentes (Columbia University) – Pricing auction guarantees in the Art Market
  • Nataliya Naumova (NYIT) – The effects of ASU 842
  • Alexandra Sedlovskaya (Harvard University) – Self and identity
  • Roza Galeeva (NYU) – Decoding oil correlation
  • Adam Lynne (Bloomberg L.P.) – Sharing quant insights
7:00pm

Cocktail Reception

Keynote Speaker

Photo of Robert Engle

Robert Engle

Robert Engle, Professor Emeritus of Finance at New York University Stern School of Business, was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of UCSD. Professor Engle is the Co-Director of the Volatility and Risk Institute at NYU Stern. In this role he has developed research tools to track risks in the global economy and make these publicly available on the V-LAB website.

When & Where

Wednesday, June 26, 2019
5:00 pm – 8:00 pm ET

Bloomberg L.P.
Grand Central Location
120 Park Avenue
22 MPR Room
New York, NY 10165